It's called a sausage but contains no meat at all — the name most likely comes from the Glamorgan cattle breed that produced the cheese inside it, not from any resemblance to a banger.
Grated Caerphilly-style cheese, breadcrumbs, leek and herbs are bound with egg, rolled into a sausage shape, breaded and fried until crisp outside and molten within. Welsh market stalls and delis sell them ready-fried as a snack or light lunch.